摘要
为了更好地研究利率因素对破产概率的影响,考虑利率为马氏链的离散时间风险模型,运用归纳法和鞅方法给出有限时间和最终时间破产概率的递归方程和最终破产概率的上界表达式,数值模拟结果表明鞅方法和递归法所得上界优于伦德伯格(Lundberg)上界.
In order to study the effects of the factors like interest rate on the ruin probability,we consider a discrete time risk model with Markov chain as interest rates. Recursive and integral equations for ruin probability of finite and ultimate time are given, and upper bounds for ruin probability of ultimate time are obtained by inductive and martingale approaches. Numerical simulation shows that upper bounds for inductive and martingale are better than that of Lundberg.
出处
《南京信息工程大学学报(自然科学版)》
CAS
2013年第2期184-187,共4页
Journal of Nanjing University of Information Science & Technology(Natural Science Edition)
基金
安徽省自然科学基金(10040606Q-03)
安徽工程大学引进人才科研启动基金(2009YQQ005)
关键词
离散风险模型
马尔可夫链
破产概率
鞅
discrete time risk model
Markov chain
ruin probability
martingale